Question: Repeat steps a) e) assuming that you expect a payment of 900,000 British pounds on close of business day, Friday, September 11th. Assume you that

  1. Repeat steps a) e) assuming that you expect a payment of 900,000 British pounds on close of business day, Friday, September 11th. Assume you that you enter into the futures position at a close of day on Tuesday, September 8th. Futures and spot data are provided in the file HW1_datdoc. Contract size is 62,500 British pounds.

British Pound Data

Daily Settlements for British Pound Future (FINAL)Trade Date: Wednesday, 09/09/2020

Month

Open

High

Low

Last

Change

Settle

Estimated Volume

Prior Day Open Interest

SEP 20

1.2978

1.3023

1.2885

1.3002

+.0002

1.2991

209,078

142,459

OCT 20

1.2954

1.3025B

1.2889A

1.3003A

+.0001

1.2994

445

860

NOV 20

1.2968

1.3027B

1.2891A

1.3005A

+.0002

1.2996

203

708

DEC 20

1.2981

1.3029B

1.2892

1.3009

+.0001

1.2997

93,988

52,690

JAN 21

-

-

1.2951A

1.2975B

+.0001

1.3001

0

0

MAR 21

1.2980

1.3039B

1.2905A

1.3020A

+.0002

1.3009

62

528

Daily Settlements for British Pound Futures (FINAL)Trade Date: Friday, 09/11/2020

Month

Open

High

Low

Last

Change

Settle

Estimated Volume

Prior Day Open Interest

SEP 20

1.2805

1.2865

1.2763

1.2783

-.0012

1.2790

26,166

64,480

OCT 20

1.2816

1.2868B

1.2767

1.2798B

-.0012

1.2793

1,165

1,309

NOV 20

1.2832

1.2869B

1.2768A

1.2799B

-.0011

1.2795

108

272

DEC 20

1.2806

1.2872

1.2768

1.2801

-.0012

1.2796

125,077

139,501

JAN 21

-

1.2820B

-

1.2820B

-.0012

1.2800

0

0

MAR 21

1.2809

1.2879B

1.2781A

1.2818B

-.0012

1.2807

11

494

Spot Data:

Jul.Day

YYYY/MM/DD

Wdy

USD/GBP

2459101

2020/09/08

Tue

1.3024

2459102

2020/09/09

Wed

1.2989

2459103

2020/09/10

Thu

1.2867

2459104

2020/09/11

Fri

1.2797

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